Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1127 |
| Annualized Std Dev | 0.1987 |
| Annualized Sharpe (Rf=0%) | 0.5671 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3961.0000 |
| NAs | 1.0000 |
| Minimum | -0.0990 |
| Quartile 1 | -0.0055 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1016 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0125 |
| Skewness | -0.3019 |
| Kurtosis | 5.9646 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0091 |
| Gain Deviation | 0.0084 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0137 |
| Downside Deviation (Rf=0%) | 0.0089 |
| Downside Deviation (0%) | 0.0089 |
| Maximum Drawdown | 0.4236 |
| Historical VaR (95%) | -0.0191 |
| Historical ES (95%) | -0.0296 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0356 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2015-07-21 | 2020-03-23 | NA | -0.4236 | 1428 | 1177 | NA |
| 2007-05-08 | 2009-03-05 | 2010-03-17 | -0.3685 | 721 | 461 | 260 |
| 2011-07-11 | 2011-08-08 | 2011-12-07 | -0.1574 | 106 | 21 | 85 |
| 2010-03-24 | 2010-06-09 | 2010-09-10 | -0.1243 | 119 | 54 | 65 |
| 2014-03-05 | 2014-04-11 | 2014-06-20 | -0.1145 | 76 | 28 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | -0.2 | 0.9 | 0.3 | 0.4 | 0 | 0.6 | -0.8 | 1.2 |
| 2006 | 0.5 | 0.1 | 0.1 | -0.2 | 0.4 | 0.6 | 0.2 | 0.8 | 0.7 | -1 | -0.2 | -0.7 | 1.3 |
| 2007 | 0.8 | -1.1 | 0.3 | 0.2 | 0.4 | -0.6 | 0.6 | 0.4 | 1.7 | -2.1 | 0.5 | -1.1 | -0.1 |
| 2008 | 1.2 | -1.5 | 1.8 | 1.6 | 0.3 | 0.9 | -1.4 | -0.9 | 0.3 | 1 | -6.5 | 1.4 | -2.1 |
| 2009 | -1.2 | -3.9 | -0.7 | -1.5 | 0.5 | 0.8 | -0.2 | -1.2 | -1.9 | -1.3 | 0.9 | -0.7 | -9.9 |
| 2010 | 0.3 | 1 | 0.5 | -1 | -1.7 | -1.5 | 0.3 | 2.3 | 0.2 | 0 | 2 | -0.6 | 1.8 |
| 2011 | 0.9 | -1.2 | 0.5 | -0.3 | -1.1 | 1.6 | -0.7 | -1.1 | -0.9 | -1.5 | 0.1 | -0.1 | -3.8 |
| 2012 | 1.6 | 0.9 | 0.6 | -0.3 | -2.1 | 1.8 | -0.9 | 0.2 | 0.6 | 1.5 | 0 | 1.4 | 5.2 |
| 2013 | 1.1 | 0.4 | -0.4 | -1.7 | -1.9 | 1 | 1.5 | -0.8 | 1.8 | 0.8 | 0.1 | 0 | 1.9 |
| 2014 | -1.3 | -1.1 | 0.6 | 0.4 | 0.2 | 2 | -0.1 | 0.3 | -1.2 | 0 | -1 | -0.7 | -1.9 |
| 2015 | -1.2 | -0.7 | -0.9 | 2.1 | 0.4 | 0.1 | 0.6 | -2.3 | 1.1 | -1.2 | 1.5 | -1.1 | -1.6 |
| 2016 | 0.1 | 2.4 | 2 | -2.2 | 0.3 | 1.2 | 0.9 | -0.3 | 0.8 | 0.6 | -1.4 | 0.3 | 4.7 |
| 2017 | 1.3 | -0.6 | -0.6 | 0.1 | 1.4 | -0.3 | -0.7 | 0.2 | 0.8 | 0.7 | 0.5 | -1 | 1.7 |
| 2018 | 1 | -1.2 | 1.1 | 0.5 | 0.9 | 0.1 | 0 | 0.1 | -1.4 | 3.1 | 1.1 | 1.3 | 6.7 |
| 2019 | 0.2 | 1.2 | 0.1 | 0.2 | -1.5 | 1 | 0.5 | -0.6 | -1.5 | 0.9 | 0.1 | 0.5 | 1.1 |
| 2020 | -1.4 | -1.7 | -3.1 | -1.7 | -0.4 | 1 | -1.3 | -2 | 0.1 | -1 | 0.7 | 0.6 | -9.9 |
| 2021 | 1.4 | 1 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
